Convergence of the matrix transformation method for the finite difference approximation of fractional order diffusion problems

Numerical solution of fractional order diffusion problems with homogeneous Dirichlet boundary conditions is investigated on a square domain. An appropriate extension is applied to have a well-posed problem on R² and the solution on the square is regarded as a localization. For the numerical approximation a finite difference method is applied combined with the matrix transformation method. Here the discrete fractional Laplacian is approximated with a matrix power instead of computing the complicated approximations of fractional order derivatives. The spatial convergence of this method is proved and demonstrated by some numerical experiments.